Tips¶

  • 默认的极值处理方式均调整为为0.01/0.99放缩,前值为5倍标准差处理
  • 复合因子comb_mom12x3_to3M的构造过程发生在数据处理之后,comb_mom12x3_to3M = mom12x3 + turnover3M
  • 行业中性化后的 comb_mom12x3_to3M_GN = mom12x3_GN+ turnover3M_GN

summary of all factors¶

  • 非行业中性化(全市场)
start_date:2006-01-01 / end_date:2022-12-31
mom12x3 turnover3M comb_mom12x3_to3M
ic.mean -0.0000 -0.0430 0.0327
ic.t-stats -0.0039 -4.3850 3.7827
AnnRet_Long -0.0063 -0.1393 0.0380
AnnRet_short -0.0228 0.1018 -0.1401
AnnRet 0.0165 -0.2411 0.1781
SR_Long -0.0523 -1.2448 0.2935
SR_Short -0.2415 0.5594 -1.3748
SR 0.0874 -0.9043 0.8916
TO_Long 0.3168 0.2486 0.3129
TO_Short 0.3740 0.1830 0.3266
  • 行业中性化(全市场)
start_date:2006-01-01 / end_date:2022-12-31
mom12x3_GN turnover3M_GN comb_mom12x3_to3M_GN
ic.mean -0.0051 -0.0451 0.0301
ic.t-stats -0.7307 -5.3204 3.9020
AnnRet_Long -0.0084 -0.1399 0.0345
AnnRet_short 0.0143 0.1229 -0.1192
AnnRet -0.0226 -0.2628 0.1537
SR_Long -0.0756 -1.3440 0.2843
SR_Short 0.1848 0.8092 -1.2695
SR -0.1426 -1.1678 0.8513
TO_Long 0.3175 0.2516 0.3107
TO_Short 0.3711 0.2231 0.3265
  • 行业中性化因子(高流动性股票池)
start_date:2006-01-01 / end_date:2022-12-31
mom12x3_GN turnover3M_GN comb_mom12x3_to3M_GN
ic.mean 0.0142 -0.0485 0.0470
ic.t-stats 1.6582 -4.5033 4.9223
AnnRet_Long 0.0236 -0.1520 0.0840
AnnRet_short -0.0519 0.0554 -0.1386
AnnRet 0.0755 -0.2073 0.2226
SR_Long 0.2035 -1.1593 0.6847
SR_Short -0.6370 0.4635 -1.1501
SR 0.4473 -0.9280 1.1069
TO_Long 0.3785 0.3384 0.3755
TO_Short 0.4694 0.2553 0.4314

details of comb_mom12x3_to3M_GN(high liquidity)¶

收益曲线和表格指标,均是针对超额收益,benchmark用的是equal weighted

note1: 分10组的group-8 group-9的换手率分别为0.63,0.37,SR分别为0.72、0.68

details of turnover3M_GN(high liquidity)¶

details of mom12x3_GN(high liquidity)¶